Save in-game, THEN press X. Loading is automatic. Pressing X does not make a savestate; it merely backs up the updated SRAM to the *.sav file on your card. In other words, the game has to support saving in the first place.
Otherwise, in the newer versions open up the Lameboy menu and choose to use a savestate. If you do this, the load option is in the same spot for when you want to resume your progress. If pressing R doesn't open up the Lameboy menu, then you don't have the latest version.